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Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the…
Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor formulas w.r.t. increments of the time are presented for…
Intrusive Uncertainty Quantification methods such as stochastic Galerkin are gaining popularity, whereas the classical stochastic Galerkin approach is not ensured to preserve hyperbolicity of the underlying hyperbolic system. We apply a…
This work develops a duality theory for partially observed linear Gaussian models in discrete time. The state process evolves according to a causal but non-Markovian (or higher-order Gauss-Markov) structure, captured by a lower-triangular…
The goal of this article is to contribute to a better understanding of the relations between the exact controllability of nonlinear PDEs and the control theory for ODEs based on Lie brackets, through a study of the Schr\"odinger PDE with…
Stochastic oscillations are ubiquitous in many systems. For deterministic systems, the oscillator's phase has been widely used as an effective one-dimensional description of a higher dimensional dynamics, particularly for driven or coupled…
Identification of nonlinear dynamical systems is crucial across various fields, facilitating tasks such as control, prediction, optimization, and fault detection. Many applications require methods capable of handling complex systems while…
This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…
In this paper, we obtain some preliminary results on stochastic control theory for time-varying linear systems both continuous and discrete, and further apply to aperiod sample-data linear systems. The Ito's lemma is utilized in this…
Recently, a theory for stochastic optimal control in non-linear dynamical systems in continuous space-time has been developed (Kappen, 2005). We apply this theory to collaborative multi-agent systems. The agents evolve according to a given…
This paper is devoted to the stabilization problem for nonlinear driftless control systems by means of a time-varying feedback control. It is assumed that the vector fields of the system together with their first order Lie brackets span the…
The Ito and Stratonovich approaches are carried over to quantum stochastic systems. Here the white noise representation is shown to be the most appropriate as here the two approaches appear as Wick and Weyl orderings, respectively. This…
Stochastic dynamical systems are fundamental in state estimation, system identification and control. System models are often provided in continuous time, while a major part of the applied theory is developed for discrete-time systems.…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
We develop an approach to the theory nonholonomic relativistic stochastic processes on curved spaces. The Ito and Stratonovich calculus are formulated for spaces with conventional horizontal (holonomic) and vertical (nonholonomic) splitting…
Reliability analysis is a sub-field of uncertainty quantification that assesses the probability of a system performing as intended under various uncertainties. Traditionally, this analysis relies on deterministic models, where experiments…
We study an ordinary differential equation controlled by a stochastic process. We present results on existence and uniqueness of solutions, on associated local times (Trotter and Ray-Knight theorems), and on time and direction of…
In this paper, we consider Caputo type fractional stochastic time-delay system with permutable matrices. We derive stochastic analogue of variation of constants formula via a newly defined delayed Mittag-Leffer type matrix function. Thus,…
"Quantum trajectories" are solutions of stochastic differential equations of non-usual type. Such equations are called "Belavkin" or "Stochastic Schr\"odinger Equations" and describe random phenomena in continuous measurement theory of Open…
The authors consider stochastic aspects of the stabilization problem for two and three-dimensional Oseen equations with help of feedback control defined on a part of the fluid boundary. Stochastic issues arise when inevitable unpredictable…